Risk spillovers between the Vietnamese dong and key Asian currencies before and during the Covid-19 pandemic

Keywords

risk spillovers
exchange rate
Covid-19 pandemic
VND lây lan rủi ro
tỷ giá
dịch Covid-19
VND

Abstract

This research utilizes the framework of forecast error variance decomposition to examine the extent of risk spillovers between the Vietnamese dong (VND) and vital Asian currencies before and during the Covid-19 pandemic. The findings show that, in general, the risk contagion between the VND and other crucial Asian currencies in the study is modest. Second, the intensity of risk spillovers is not constant but varies over time, spiking significantly when Covid-19 became a pandemic. Third, the VND is a net-risk receiver currency, especially from stronger currencies such as KRW, SGD, or JPY, and becomes more vulnerable during the disease occurrence.

https://doi.org/10.26459/hueunijed.v133i5A.7325

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